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June 2009 Blog Posts (21)

ParallelR and Financial Applications

This is a very useful reference & I do not want to loose it but I have had problems publishing it;-
http://algo.scu.edu/~sanjivdas/parallelr_options.pdf

Added by John A Morrison on June 30, 2009 at 10:28am — No Comments

The R Package bigmemory

The R Package bigmemory: Supporting Efficient Computation and Concurrent Programming with Large Data Sets.



John W. Emerson, Yale University

Michael J. Kane, Yale University



Abstract



Multi-gigabyte data sets challenge and frustrate R users even on well-equipped hardware. C/C++ and Fortran programming can be helpful, but is cumbersome for interactive data analysis and lacks the flexibility and power of R’s rich statistical programming environment. The new… Continue

Added by John A Morrison on June 30, 2009 at 10:17am — No Comments

R as a Tool in Computational Finance

John P. Nolan, American University



(Authors note: I welcome feedback on this draft. My goal is to show how R can quickly be used as a tool in computational ¯nance, not give an exhaustive tutorial in R. The discussion of open source vs commercial packages in section 1.2 grew spontaneously from what was intended to be a few comments; let me

know if this is worthwhile. The current version is aimed more at an academic audience, and less at finance professionals. There is more that… Continue

Added by John A Morrison on June 30, 2009 at 10:11am — 1 Comment

State-of-the-art in Parallel Computing with R

Technical Report Number 47, 2009
Department of Statistics
University of Munich

Markus Schmidberger, Martin Morgan, Dirk Eddelbuettel, Hao Yu, Luke Tierney, Ulrich Mansmann

http://epub.ub.uni-muenchen.de/8991/1/parallelR_techRep.pdf

Added by John A Morrison on June 30, 2009 at 9:56am — No Comments

#15: Here's a thought...

An occasional series in which a review of recent posts on SmartData Collective reveals the following nuggets:



Data, data, every where

You must admit you have a problem before you can solve it. Many enterprises are blind to their integration silos. All they see is their investments in ERP, DW, BI, CPM, MDM, CDI, SOA and PIM applications and the resulting databases with terabytes of data stored in them. Smug with the knowledge that they have all the data that the business… Continue

Added by Brian Roger on June 28, 2009 at 10:02am — No Comments

Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Didier SORNETTE (ETH Zurich and Swiss Finance Institute)

Ryan WOODARD (ETH Zurich)





The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank interventions and government spending programs have been… Continue

Added by John A Morrison on June 25, 2009 at 2:28am — No Comments

Strategy Analyst Opportunity with a Fortune 500 Company in Kennesaw, GA!

CarMax Auto Finance is looking for a Strategy Analyst to join our Risk Department. We are located in Kennesaw, GA, about 20 miles North of Atlanta. The position's salary range is low to upper 50k with an annual bonus, offers great opportunity for growth and advancement and is within a casual but fun work environment - jeans and shorts!



If you are interested in viewing the details of the position, please check out our online posting at www.carmaxautofinance.com or feel free to email… Continue

Added by Susan Podsiad on June 24, 2009 at 6:36am — No Comments

MathFinance Seminar on Foreign Exchange Exotic Options

This practical two-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Presented by Prof. Dr. Uwe Wystup. Lisbon, Portugal, 14-15 July 2009. Web: http://www.mathfinance.com/workshop/2009/FxLx09/

Added by Ansua Dutta on June 24, 2009 at 2:59am — No Comments

Gaussian copula function: The Formula That Killed Wall Street

From the Wired Magazine (Felix Salmon)



A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics before, and Li's work on measuring risk has had more impact, more quickly, than previous Nobel Prize-winning contributions to the field. Today, though, as dazed bankers, politicians, regulators, and investors survey the wreckage of the biggest… Continue

Added by Vincent Granville on June 23, 2009 at 10:30am — 2 Comments

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment



Regis Barnichon



Abstract: This paper presents a search model of unemployment with a new mechanism of job separation based on firms' demand constraints. The model is consistent with the cyclical behavior of labor market variables and can account for three stylized facts about unemployment that the Mortensen-Pissarides (1994) model has difficulties explaining jointly: (i) the…

Continue

Added by John A Morrison on June 22, 2009 at 11:30pm — No Comments

The Promise and Perils of Credit Derivatives

I got this reference from Joshua Reich, who is doing some interesting things at i2pi



http://blog.i2pi.com/



Its an exposition of the recent history and legal and institutional framework of the Credit Derivative and given the imminent re-engineering of the regulatory and indeed market infrastructure for these products its a really useful reference for actually "what goes on" or more accurately 'what went on'.



The Promise and… Continue

Added by John A Morrison on June 22, 2009 at 11:29pm — 3 Comments

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

by Audrone Jakaitiene and Stéphane Dées

THE EUROPEAN CENTRAL BANK







Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, …1st, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods… Continue

Added by John A Morrison on June 18, 2009 at 10:42pm — No Comments

Inference for R version 3.5: Inference in PowerPoint Makes its Debut

I am happy to announce the release of Inference for R version 3.5. This is a significant release for Inference that includes several major features requested by users:



• Inference in PowerPoint: Embed and run R code in PowerPoint presentations just as you can in Word and Excel.



• Run-in-Place: Execute R code inside of an Excel, Word, or PowerPoint document and see the code results immediately in the same document – “preview” how your document will execute without having to… Continue

Added by Ben Hinchliffe on June 18, 2009 at 2:55pm — No Comments

#14: Here's a thought...

An occasional series in which a review of recent posts on SmartData Collective reveals the following nuggets:



Credit where credit is due

In every case, market sectors were created or developed by small companies. Look at supply chain planning, warehouse management, human resources/human capital management, enterprise asset management, customer relationship management, sourcing and procurement, applications-as-a-service, and the nascent energy and emissions management… Continue

Added by Brian Roger on June 14, 2009 at 6:53pm — No Comments

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Added by John Crout on June 11, 2009 at 4:45am — No Comments

Implementation of the Copula - Interesting work from Italy and wider Europe

Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation



Francesco Paolo Natale, Department of Economics and Management, Università Milano-Bicocca, Italy



http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2007-Vienna/Papers/0131.pdf



This author is now developing his techniques to estimate economic…

Continue

Added by John A Morrison on June 10, 2009 at 1:00am — No Comments

How and Why my blogging can be the basis for something useful

Not just a Vanity Project and not an excercise in self-justification!



http://www.asymptotix.eu/content/open-source-enterprise-digital-repositories-banking-supervision


THE LINK REFERENCE ABOVE IS "TOTALLY WRONG" !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!


(& I have just noticed over a year later…
Continue

Added by John A Morrison on June 10, 2009 at 12:00am — 2 Comments

Statistical Modeling and Analysis for Database Marketing: Effective Techniques for Mining Big Data - Bruce Ratner, Ph.D.

This book is a compilation of essays that offer succinct, specific methods for solving the most commonly experienced problems in database. The common theme among these essays is to address each methodology and assign its application to a specific type of problem. To better ground the reader, I spend considerable time discussing the basic methodologies of database analysis and modeling. While this type of overview has been attempted before, my… Continue

Added by Bruce Ratner on June 7, 2009 at 3:14pm — No Comments

#13: Here's a thought...

An occasional series in which a review of recent posts on SmartData Collective reveals the following nuggets:



Cloudy days ahead


The question is not, will cloud computing happen, but rather, how will this tendency unfold, and how will organizations, regulators, and other actors respond? Until the rhetoric and more important the base of experience moves beyond the current state of pilots and vaporware, the range of potential outcomes is too vast to bet on with any serious… Continue

Added by Brian Roger on June 7, 2009 at 11:40am — No Comments

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